Abstract

http://ssrn.com/abstract=1341465
 
 

References (11)



 
 

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Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?


Chandrasekhar Krishnamurti


University of Southern Queensland

Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area

Tiong Yang Thong


Singapore Management University - Lee Kong Chian School of Business

February 11, 2009

EFA 2009 Bergen Meetings Paper

Abstract:     
Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice versa. Another interesting conclusion that emerges from our research is that liquidity changes can predict future abnormal returns. Our results remain robust to the use of alternate procedures to characterize unexpected changes in liquidity.

Number of Pages in PDF File: 38

Keywords: Lockup expiration, Illiquidity

JEL Classification: G14, G24, G32

working papers series


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Date posted: February 12, 2009 ; Last revised: November 14, 2013

Suggested Citation

Krishnamurti, Chandrasekhar and Subrahmanyam, Avanidhar and Thong, Tiong Yang, Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns? (February 11, 2009). EFA 2009 Bergen Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1341465 or http://dx.doi.org/10.2139/ssrn.1341465

Contact Information

Chandrasekhar Krishnamurti (Contact Author)
University of Southern Queensland ( email )
School of Accounting, Economics and Finance
Faculty of Business
Toowoomba, QLD 4350
Australia
61 7 4631 2941 (Phone)
61 7 4631 1770 (Fax)
Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Tiong Yang Thong
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore 178899
Singapore

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